Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.

The most professional and industry relatable text currently available for linear interest rate derivatives. This revised edition markedly expands the first edition released in 2016, with revised content based on multiple recommendations from active portfolio managers.

Learn more at TradingInterestRates.com..

Written by a practicing derivatives portfolio manager with over twelve years of fixed income trading experience, this book focuses on core trading concepts; pricing, curve building (single and multi-currency), risk, credit and CSAs, regulations, VaR and PCA, volatility, cross-gamma, trade strategy analysis and market moving influences.

The book’s focus is interest rate swaps and cross-currency swaps. Topics are presented from that perspective, outlining the importance of regulations in an IRD capacity, with volatility and swaptions taught from a practical point of view rather than an overly cumbersome academic one.

The treatment of risk is expansive and thorough. The author formally analyses modern market-maker techniques to accurately predict PnL, and successfully implement multiple, consistent perspectives to view all details of risks.

Almost everything included here is compulsory knowledge for a modern, successful, swaps trader or interest rate risk portfolio manager. Certainly this book sets the benchmark for the level of expertise that swaps traders should strive for, and the style is aimed at the novice and professional alike.

Special offers and product promotions

Editorial Reviews

About the Author

J H M Darbyshire first studied mathematics at the University of Nottingham, becoming valedictorian of his graduating class. He went on to join the fixed income trading team at Barclays Capital in London, quickly establishing his position as a sterling bond and IRD trader. There he honed his skills and was instrumental in shaping Barclays curve and risk model design, as well as successfully trading outright and basis markets throughout the years of the financial crisis and central bank quantitative easing. Within Barclays he expanded his role to become discretionary manager of a G7 bond, TRS and IRD portfolio. This gave him unique exposure to the financial instruments upon which his books are focused. Later he travelled to Stockholm to spend more time with his Swedish family. This period gave him the opportunity to complete his MSc in mathematics and to author his first publication "Pricing and Trading Interest Rate Derivatives". He has since returned to portfolio management in Scandinavia at Nordea Markets specialising in euro IRDs as part of a linear and non-linear product team.

There was a problem filtering reviews right now. Please try again later.

There is no comparable text available, and believe me, I've read most of them.

I've spent the last 10 years building Trad-X and I've struggled to find a modern trading oriented text that can bootstrap a quant or developer into the rates world with minimal reference chasing and still be something that I can agree with. Even for seasoned professionals, there is a very nice transitioning between the topics that gives the reader the breadth that is often lacking due to silos in the field.

In terms of readability, it's very good, you can read cover-to-cover and enjoy a progression beginning from the very basics of it all.

I'm looking forward to a 3rd edition that covers the emerging trends in OIS (SOFR, et. al.), some more technical matter on AAD, trends in interpolation techniques and hopefully a section on the peculiarities of emerging market swaps.

Overall, this is currently *the* go to book. Once you've finished it, you'll have the solid base required to refine your knowledge through research publications.

The book covers the full spectrum of linear interest-rate derivatives and succeeds to admiration and then some. Treatment of each topic is compact yet very elucidating, with many numerical examples to boot. All presented from the vantage-point of a down-to-earth trader. The discussion is not hampered by excessive exposition of mathematical rigour and where possible qualitative explanations are provided, which helps the reader to develop a mindset within which the maths and models can really start working for you, instead of just being tools for computation. The appendix further expands upon the mathematics and far from being your average appendix, really enriches the main text.

My focus when reading the book was on XCSs and the multi-currency curve model with CSAs. But I will definitely revisit all the other fascinating topics covered by the book such as the use of VAR, PCA, reset risks and delta/gamma risks in the fixed-income realm.

For everybody interested in learning more about the world of interest rate swaps, I believe this book does the job in an excellent manner. Not only does the book provides the reader with a general overview of market concepts and conventions, it also serves as a guideline in terms of more conceptual thinking and application to any market participant.

I encourage anybody with an interest for swap pricing, regardless of job title, to read this book as it provides valueable knowledge to a specific, but liquid financial product.